| 基于决策者期望值的期权估价 |
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| 引用本文： | 刘书霞,姚绍文.基于决策者期望值的期权估价[J].北京理工大学学报(社会科学版),2009,11(1):85-87. |
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| 作者姓名： | 刘书霞 姚绍文 |
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| 作者单位： | 1.天津大学管理学院, 天津 300072 |
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| 摘 要： | 文章在分析现有期权定价方法的基础上，分析了投资者对标的证券价格推断、权衡等主观因素，在离散时间金融市场模型中研究了不付红利股票期权的定价问题。在经典期权定价的离散模型的基础上，假定股票价格是模糊变量，基于可信性理论提出期权的主观预期值估价方法。
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| 关 键 词： | 期权定价 模糊理论 模糊期权 |
| 收稿时间： | 2008/8/27 0:00:00 |
Subjective Expectation Approach for Pricing American Put Option |
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| LIU Shu-xia and YAO Shao-wen.Subjective Expectation Approach for Pricing American Put Option[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2009,11(1):85-87. |
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| Authors: | LIU Shu-xia and YAO Shao-wen |
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| Institution: | 1.School of Management, Tianjin University, Tianjin 300072 |
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| Abstract: | The existence of uncertainty in decision-making would have an effect on options pricing. By considering the investor's subjective factors in process to infer American put option price, the fuzzy American option pricing model of discrete time is established based on the credibility theory, in which the price of stocks is taken as fuzzy variables. Moreover, the expected value of option price is derived by the decision-maker attitude. |
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| Keywords: | fuzzy option option option pricing fuzzy variable |
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